Backtest Portfolio Asset Class Allocation

This portfolio backtesting tool allows you to construct a portfolio based on the selected asset class allocation to analyze and backtest portfolio returns, risk characteristics (Sharpe ratio, Sortino ratio), standard deviation, annual returns and rolling returns. The results include a visualization of the portfolio growth chart and rolling returns, CAGR, standard deviation, annual returns and inflation adjusted returns. A periodic contribution or withdrawal can be specified together with the preferred portfolio rebalancing strategy and you can compare the given portfolio allocation against multiple lazy portfolios. You can also use the portfolio backtesting tool to build a portfolio based on specific mutual funds, ETFs and stocks.

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Asset Allocation
US Stock Market
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US Large Cap
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US Large Cap Value
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US Large Cap Growth
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US Mid Cap
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US Mid Cap Value
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US Mid Cap Growth
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US Small Cap
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US Small Cap Value
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US Small Cap Growth
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US Micro Cap
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Global ex-US Stock Market
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Intl Developed ex-US Market
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International ex-US Small Cap
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International ex-US Value
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European Stocks
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Pacific Stocks
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Emerging Markets
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Cash
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Short Term Treasury
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Intermediate Term Treasury
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10-year Treasury
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Long Term Treasury
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Total US Bond Market
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TIPS
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Global Bonds (Unhedged)
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Global Bonds (USD Hedged)
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Short-Term Investment Grade
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Corporate Bonds
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Long-Term Corporate Bonds
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High Yield Corporate Bonds
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Short-Term Tax-Exempt
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Intermediate-Term Tax-Exempt
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Long-Term Tax-Exempt
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REIT
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Gold
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Precious Metals
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Commodities
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Total
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Portfolio Analysis Results (Jan 2004 - Dec 2017)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Stock Market 21.25%
Intl Developed ex-US Market 21.25%
Emerging Markets 42.50%
10-year Treasury 7.50%
Global Bonds (Unhedged) 7.50%
Save asset allocation »
Portfolio 2
Asset Class Allocation
European Stocks 100.00%
Save asset allocation »
Portfolio 3
Asset Class Allocation
Global Bonds (USD Hedged) 100.00%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$31,992 8.66% 15.09%44.92%-37.75%-50.34% 0.550.820.87
Portfolio 2$10,000$23,505 6.29% 18.31%33.42%-44.73%-59.72% 0.360.520.87
Portfolio 3$10,000$21,089 5.47% 3.67%15.30%-2.35%-10.03% 1.131.900.17
iShares MSCI Spain Capped ETF$10,000$20,677 5.33% 24.63%49.25%-36.78%-58.63% 0.290.430.70
   
Notes on results:
  • Past performance is not a guarantee of future returns. See Disclaimer and Terms of Use
  • The entered time period is automatically adjusted based on the available return data for the specified assets
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over risk free rate (1-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns excluding cashflows
  • Monthly return series of the selected benchmark is used for results comparisons
  • The backtested results include annual rebalancing of portfolio assets to match the specified allocation
  • The results use total return and assume that all dividends and distributions are reinvested. Taxes and transaction fees are not included
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationReturnBalanceUS Stock MarketIntl Developed ex-US MarketEmerging Markets10-year TreasuryGlobal Bonds (Unhedged)European StocksGlobal Bonds (USD Hedged)
Portfolio 1Portfolio 2Portfolio 3iShares MSCI Spain Capped ETFPortfolio 1Portfolio 2Portfolio 3iShares MSCI Spain Capped ETF
20043.26%19.27%20.86%6.11%30.13%$11,927$12,086$10,611$13,01312.52%20.25%26.12%4.50%11.57%20.86%6.11%
20053.42%17.53%9.26%4.98%4.56%$14,018$13,205$11,139$13,6065.98%13.60%32.05%3.01%-6.36%9.26%4.98%
20062.54%21.97%33.42%2.94%49.25%$17,098$17,618$11,467$20,30715.51%26.27%29.39%2.19%5.85%33.42%2.94%
20074.08%21.55%13.82%4.99%20.93%$20,782$20,053$12,040$24,5585.49%11.15%38.90%10.42%9.26%13.82%4.99%
20080.09%-37.75%-44.73%-2.35%-36.78%$12,937$11,084$11,757$15,525-37.04%-41.27%-52.81%20.53%-2.68%-44.73%-2.35%
20092.72%44.92%31.91%15.30%33.02%$18,749$14,621$13,555$20,65128.70%28.27%75.98%-10.17%17.17%31.91%15.30%
20101.50%14.86%4.91%8.53%-18.87%$21,535$15,339$14,711$16,75417.09%8.36%18.86%7.92%11.24%4.91%8.53%
20112.96%-8.53%-11.60%8.60%-10.08%$19,699$13,559$15,976$15,0660.96%-12.51%-18.78%16.24%9.20%-11.60%8.60%
20121.74%16.08%20.80%9.54%5.43%$22,867$16,380$17,499$15,88416.25%18.56%18.64%2.73%7.42%20.80%9.54%
20131.50%8.55%24.70%-0.81%31.86%$24,821$20,427$17,357$20,94433.35%22.06%-5.19%-8.57%-5.04%24.70%-0.81%
20140.76%2.59%-6.67%9.70%-6.28%$25,464$19,065$19,041$19,62812.43%-5.66%0.42%10.63%2.37%-6.67%9.70%
20150.73%-6.74%-2.00%-0.00%-15.51%$23,749$18,683$19,041$16,5840.29%-0.19%-15.47%1.12%-3.57%-2.00%-0.00%
20162.07%8.47%-0.80%6.17%-1.82%$25,760$18,534$20,216$16,28312.53%2.45%11.50%1.00%4.25%-0.80%6.17%
20172.11%24.19%26.82%4.32%26.99%$31,992$23,505$21,089$20,67721.05%26.40%31.15%2.39%9.21%26.82%4.32%
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2Portfolio 3iShares MSCI Spain Capped ETF
Arithmetic Mean (monthly)0.79%0.65%0.45%0.69%
Arithmetic Mean (annualized)9.91%8.11%5.54%8.56%
Geometric Mean (monthly)0.69%0.51%0.45%0.43%
Geometric Mean (annualized)8.66%6.29%5.47%5.33%
Volatility (monthly)4.36%5.29%1.06%7.11%
Volatility (annualized)15.09%18.31%3.67%24.63%
Downside Deviation (monthly)2.89%3.67%0.60%4.74%
Max. Drawdown-50.34%-59.72%-10.03%-58.63%
US Market Correlation0.870.870.170.70
Beta(*)0.480.660.031.00
Alpha (annualized)5.54%2.41%5.19%-0.00%
R260.92%78.16%3.14%100.00%
Sharpe Ratio0.550.361.130.29
Sortino Ratio0.820.521.900.43
Treynor Ratio (%)17.4010.14160.967.08
Calmar Ratio0.450.420.940.06
Active Return3.34%0.97%0.15%N/A
Tracking Error15.95%12.02%24.25%N/A
Information Ratio0.210.080.01N/A
Skewness-0.61-0.65-0.57-0.13
Excess Kurtosis2.492.024.151.26
Historical Value-at-Risk (5%)-7.22%-9.68%-1.10%-10.76%
Analytical Value-at-Risk (5%)-6.38%-8.04%-1.29%-11.01%
Conditional Value-at-Risk (5%)-10.08%-13.16%-2.17%-15.98%
Upside Capture Ratio (%)56.0768.948.88100.00
Downside Capture Ratio (%)46.6368.02-6.53100.00
Safe Withdrawal Rate11.74%9.64%8.84%10.34%
Perpetual Withdrawal Rate6.04%3.95%3.20%3.06%
Positive Periods104 out of 168 (61.90%)99 out of 168 (58.93%)122 out of 168 (72.62%)95 out of 168 (56.55%)
Gain/Loss Ratio1.000.951.170.99
* iShares MSCI Spain Capped ETF is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndPortfolio 1Portfolio 2Portfolio 3iShares MSCI Spain Capped ETF
Subprime CrisisNov 2007Mar 2009-50.34%-59.72%-10.03%-55.75%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20112 years 1 month3 years 5 months-50.34%
2May 2011Sep 20115 monthsJan 20131 year 4 months1 year 9 months-19.18%
3May 2015Feb 201610 monthsFeb 20171 year1 year 10 months-17.49%
4May 2006Jun 20062 monthsOct 20064 months6 months-6.30%
5Apr 2004Jul 20044 monthsOct 20043 months7 months-6.22%
6May 2013Jun 20132 monthsOct 20134 months6 months-5.83%
7Sep 2014Dec 20144 monthsApr 20154 months8 months-5.75%
8Mar 2005Apr 20052 monthsJul 20053 months5 months-5.73%
9Jan 2014Jan 20141 monthMar 20142 months3 months-4.37%
10Oct 2005Oct 20051 monthNov 20051 month2 months-4.23%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsApr 20145 years 2 months6 years 6 months-59.72%
2Jun 2014Feb 20161 year 9 monthsMay 20171 year 3 months3 years-20.77%
3Mar 2005May 20053 monthsJul 20052 months5 months-4.49%
4Mar 2004Apr 20042 monthsSep 20045 months7 months-3.93%
5Oct 2005Oct 20051 monthDec 20052 months3 months-3.23%
6Jun 2007Aug 20073 monthsSep 20071 month4 months-3.22%
7May 2006May 20061 monthAug 20063 months4 months-2.45%
8Jan 2005Jan 20051 monthFeb 20051 month2 months-1.89%
9Feb 2007Feb 20071 monthMar 20071 month2 months-0.99%
10Jun 2017Jun 20171 monthJul 20171 month2 months-0.77%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Mar 2008Nov 20089 monthsJul 20098 months1 year 5 months-10.03%
2May 2013Aug 20134 monthsApr 20148 months1 year-4.24%
3Feb 2015Jun 20155 monthsApr 201610 months1 year 3 months-3.67%
4Oct 2016Nov 20162 monthsApr 20175 months7 months-2.07%
5Nov 2010Dec 20102 monthsMay 20115 months7 months-1.97%
6Mar 2007Jun 20074 monthsAug 20072 months6 months-1.62%
7Dec 2006Jan 20072 monthsFeb 20071 month3 months-1.06%
8Sep 2005Oct 20052 monthsDec 20052 months4 months-1.02%
9Apr 2004May 20042 monthsAug 20043 months5 months-0.89%
10Mar 2006Apr 20062 monthsJul 20063 months5 months-0.72%
Worst 10 drawdowns included above

Drawdowns for iShares MSCI Spain Capped ETF

Drawdowns for iShares MSCI Spain Capped ETF
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Dec 2007May 20124 years 6 months-58.63%
2Mar 2004Jul 20045 monthsOct 20043 months8 months-7.17%
3Mar 2005Apr 20052 monthsAug 20054 months6 months-6.41%
4Oct 2005Nov 20052 monthsJan 20062 months4 months-4.08%
5May 2006May 20061 monthJul 20062 months3 months-2.92%
6Jun 2007Aug 20073 monthsSep 20071 month4 months-2.81%
7Feb 2007Feb 20071 monthMar 20071 month2 months-1.72%
8Jan 2005Jan 20051 monthFeb 20051 month2 months-1.61%

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market8.94%13.84%33.35%-37.04%-50.89%0.610.881.00
Intl Developed ex-US Market6.50%16.76%28.27%-41.27%-57.06%0.390.560.88
Emerging Markets9.02%21.92%75.98%-52.81%-62.70%0.450.680.79
10-year Treasury4.26%7.20%20.53%-10.17%-10.21%0.450.75-0.31
Global Bonds (Unhedged)4.76%7.09%17.17%-6.36%-17.49%0.530.820.28
European Stocks6.29%18.31%33.42%-44.73%-59.72%0.360.520.87
Global Bonds (USD Hedged)5.47%3.67%15.30%-2.35%-10.03%1.131.900.17

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketIntl Developed ex-US MarketEmerging Markets10-year TreasuryGlobal Bonds (Unhedged)European StocksGlobal Bonds (USD Hedged)Portfolio 1Portfolio 2Portfolio 3iShares MSCI Spain Capped ETF
US Stock Market-0.880.79-0.310.280.870.170.870.870.170.70
Intl Developed ex-US Market0.88-0.88-0.210.480.980.240.950.980.240.86
Emerging Markets0.790.88--0.160.470.850.280.980.850.280.71
10-year Treasury-0.31-0.21-0.16-0.43-0.230.53-0.16-0.230.53-0.14
Global Bonds (Unhedged)0.280.480.470.43-0.470.730.500.470.730.46
European Stocks0.870.980.85-0.230.47-0.220.921.000.220.88
Global Bonds (USD Hedged)0.170.240.280.530.730.22-0.300.221.000.18

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2Portfolio 3
US Stock Market$5,714
Intl Developed ex-US Market$3,787
Emerging Markets$10,607
10-year Treasury$989
Global Bonds (Unhedged)$894
European Stocks$13,505
Global Bonds (USD Hedged)$11,089

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2Portfolio 3
US Stock Market16.85%
Intl Developed ex-US Market22.12%
Emerging Markets59.84%
10-year Treasury-0.55%
Global Bonds (Unhedged)1.74%
European Stocks100.00%
Global Bonds (USD Hedged)100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3iShares MSCI Spain Capped ETF
AverageHighLowAverageHighLowAverageHighLowAverageHighLow
1 year10.50%44.92%-37.75%8.62%33.42%-44.73%5.57%15.30%-2.35%8.06%49.25%-36.78%
3 years7.31%20.33%-2.64%5.03%20.78%-8.54%5.53%10.76%1.81%3.84%26.63%-11.97%
5 years6.32%13.92%1.93%3.64%13.01%-5.10%5.77%8.10%3.29%2.09%9.68%-8.35%
7 years6.77%11.58%2.95%3.75%7.74%-0.72%6.19%7.13%5.28%1.24%7.65%-3.34%
10 years6.28%9.52%4.18%3.54%7.40%0.51%5.76%6.02%5.51%2.00%7.67%-2.18%
Result statistics are based on annualized rolling returns over full calendar year periods